| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 51.0% | 100.0% |
| Cumulative Return | 829.36% | 598.84% |
| CAGR﹪ | 35.55% | 30.38% |
| Sharpe | 0.16 | 0.12 |
| Prob. Sharpe Ratio | 99.37% | 97.58% |
| Smart Sharpe | 0.15 | 0.12 |
| Sortino | 0.23 | 0.18 |
| Smart Sortino | 0.22 | 0.17 |
| Sortino/√2 | 0.16 | 0.12 |
| Smart Sortino/√2 | 0.16 | 0.12 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -52.88% | -81.42% |
| Longest DD Days | 822 | 1045 |
| Volatility (ann.) | 7.34% | 11.96% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.67 | 0.37 |
| Skew | 0.46 | -0.06 |
| Kurtosis | 46.45 | 34.97 |
| Expected Daily | 0.0% | 0.0% |
| Expected Monthly | 2.57% | 2.23% |
| Expected Yearly | 32.14% | 27.51% |
| Kelly Criterion | 2.11% | 3.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.76% | -1.23% |
| Expected Shortfall (cVaR) | -0.76% | -1.23% |
| Max Consecutive Wins | 11 | 14 |
| Max Consecutive Losses | 9 | 11 |
| Gain/Pain Ratio | 0.18 | 0.13 |
| Gain/Pain (1M) | 1.07 | 0.77 |
| Payoff Ratio | 1.03 | 1.03 |
| Profit Factor | 1.05 | 1.03 |
| Common Sense Ratio | 1.1 | 1.03 |
| CPC Index | 0.54 | 0.54 |
| Tail Ratio | 1.05 | 1.01 |
| Outlier Win Ratio | 13.63 | 4.18 |
| Outlier Loss Ratio | 4.83 | 4.14 |
| MTD | 1.02% | 14.53% |
| 3M | 2.25% | -8.86% |
| 6M | 14.22% | 29.99% |
| YTD | 2.78% | 1.04% |
| 1Y | 35.9% | 48.04% |
| 3Y (ann.) | 33.16% | 49.06% |
| 5Y (ann.) | 33.39% | 59.77% |
| 10Y (ann.) | 35.55% | 30.38% |
| All-time (ann.) | 35.55% | 30.38% |
| Best Day | 11.7% | 17.38% |
| Worst Day | -8.67% | -18.21% |
| Best Month | 32.94% | 60.78% |
| Worst Month | -19.83% | -37.29% |
| Best Year | 124.97% | 301.98% |
| Worst Year | -34.49% | -72.63% |
| Avg. Drawdown | -3.48% | -4.5% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 15.68 | 7.36 |
| Ulcer Index | 0.23 | 0.48 |
| Serenity Index | 0.4 | 0.12 |
| Avg. Up Month | 13.19% | 21.26% |
| Avg. Down Month | -7.5% | -13.61% |
| Win Days | 50.31% | 50.89% |
| Win Month | 53.41% | 52.27% |
| Win Quarter | 60.0% | 53.33% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.4 | - |
| Alpha | 0.01 | - |
| Correlation | 64.46% | - |
| Treynor Ratio | 2097.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | -72.63 | -28.17 | 0.39 | + |
| 2019 | 94.31 | 118.70 | 1.26 | + |
| 2020 | 301.98 | 124.97 | 0.41 | - |
| 2021 | 59.79 | 23.96 | 0.40 | - |
| 2022 | -64.21 | -34.49 | 0.54 | + |
| 2023 | 155.61 | 86.39 | 0.56 | - |
| 2024 | 121.31 | 69.02 | 0.57 | - |
| 2025 | 1.04 | 2.78 | 2.68 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2024-02-09 | -52.88 | 822 |
| 2018-05-05 | 2019-06-21 | -46.65 | 412 |
| 2018-01-07 | 2018-04-25 | -35.91 | 108 |
| 2020-02-13 | 2020-04-29 | -32.39 | 76 |
| 2021-02-21 | 2021-10-06 | -30.19 | 226 |
| 2021-01-07 | 2021-02-09 | -18.35 | 32 |
| 2024-05-27 | 2024-10-15 | -18.32 | 140 |
| 2025-01-19 | 2025-04-30 | -18.13 | 100 |
| 2019-08-06 | 2019-10-26 | -17.27 | 80 |
| 2019-06-26 | 2019-08-05 | -15.61 | 39 |